Pages that link to "Item:Q3160930"

The following pages link to Backtesting Parametric Value-at-Risk With Estimation Risk (Q3160930):

Displaying 34 items.

• Accuracy of mortgage portfolio risk forecasts during financial crises (Q320969) (← links)
• A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis (Q650729) (← links)
• Specification tests of parametric dynamic conditional quantiles (Q736700) (← links)
• Real-time assessment of value-at-risk and volatility accuracy (Q864231) (← links)
• Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device (Q1046189) (← links)
• Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
• A simple and focused backtest of value at risk (Q1667928) (← links)
• Reducing estimation risk using a Bayesian posterior distribution approach: application to stress testing mortgage loan default (Q2023954) (← links)
• Bayesian value-at-risk backtesting: the case of annuity pricing (Q2030319) (← links)
• Asymptotic properties of duration-based VaR backtests (Q2093055) (← links)
• Estimating and backtesting risk under heavy tails (Q2138613) (← links)
• Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229) (← links)
• Model selection based on value-at-risk backtesting approach for GARCH-type models (Q2190298) (← links)
• Data-driven smooth tests for the martingale difference hypothesis (Q2445650) (← links)
• Verification of internal risk measure estimates (Q2520725) (← links)
• Credit risk measures and the estimation error in the ASRF model under the Basel II IRB approach (Q2684052) (← links)
• Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified (Q3466886) (← links)
• (Q4518939) (← links)
• Backtesting Aggregate Risk (Q4687587) (← links)
• Backtesting Value‐at‐Risk: A Generalized Markov Test (Q4687625) (← links)
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182) (← links)
• Backtesting portfolio value‐at‐risk with estimated portfolio weights (Q5135314) (← links)
• A review of backtesting for value at risk (Q5160284) (← links)
• Extending the Limits of Backtesting via the ‘Vanishing <i>p</i>’‐Approach (Q5237535) (← links)
• Evaluating Value-at-Risk Models via Quantile Regression (Q5392692) (← links)
• ESTIMATION-ADJUSTED VAR (Q5403109) (← links)
• A specification test for dynamic conditional distribution models with function-valued parameters (Q5861041) (← links)
• A Nonparametric Distribution-Free Test for Serial Independence of Errors (Q5863570) (← links)
• Efficiently Backtesting Conditional Value-at-Risk and Conditional Expected Shortfall (Q5881985) (← links)
• Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk (Q6054399) (← links)
• Extremal Dependence-Based Specification Testing of Time Series (Q6190738) (← links)
• Risk Measure Inference (Q6616627) (← links)
• Powerful Backtests for Historical Simulation Expected Shortfall Models (Q6626253) (← links)
• Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk (Q6664648) (← links)